JOHANNESBURG, November 28, 2013 (AFP) - Madsen conjured up eight birdies against a lone bogey at Leopard Creek Country Club. One shot behind came South African Allan Versfeld and Portugal's Ricardo Santos.
Defending champion Charl Schwartzel was two shots further back on four under alongside England's Richard Finch, Scotland's David Drysdale and France's Victor Riu.
"Today it seemed easy but it definitely wasn't, it was pretty tough out there and the course was playing long with the wind," Madsen told www.europeantour.com.
He added: "I have a lot of confidence right now, I really believe I am going to hit good shots on pretty much every shot."
"I wasn't expecting to shoot 65 today, I knew I was playing well but I won last week so everything that happens this week or next week is going to be icing on the cake. I am just trying to enjoy the ride."
Leading scores after the first round of the Alfred Dunhill Championship on Thursday at the par-72, 6,665-metre Leopard Creek Country Club (GBR & IRL unless stated):
65 - Morten Orum Madsen (DEN)
66 - Allan Versfeld (RSA), Ricardo Santos (POR)
68 - Charl Schwartzel (RSA), Victor Riu (FRA), Richard Finch, David Drysdale
69 - Danny Willett, James Kingston (RSA), Gareth Maybin, Christopher Doak, Michael Hollick (RSA), Hennie Otto (RSA), Ruan de Smidt (RSA)
70 - Pablo Martin Benavides (ESP), Andrew Curlewis (RSA), Jaco Van Zyl (RSA), Charl Coetzee (RSA), Kevin Phelan, Daniel Brooks, John Parry, Tjaart van der Walt (RSA), Jorge Campillo (ESP), JG Claassen (RSA), Christiaan Basson (RSA), Tyrone van Aswegen (RSA), Ryan Cairns (ZIM), Magnus A Carlsson (SWE), Romain Wattel (FRA), Jens Dantorp (SWE), Sihwan Kim (KOR), Ockie Strydom (RSA)